Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/7087
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dc.contributor.authorCaporale, GM-
dc.contributor.authorGil-Alana, LA-
dc.date.accessioned2013-01-07T11:09:24Z-
dc.date.available2013-01-07T11:09:24Z-
dc.date.issued2012-
dc.identifier.citationEconomics and Finance Working Paper, Brunel University, 12-26, Nov 2012en_US
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/7087-
dc.description.abstractThis paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an I(d) specification with AR(2) disturbances and the other on two fractional differencing structures, one at the zero and the other at a cyclical frequency. Thus, the two approaches differ in the way the cyclical component of the process is modelled. In both cases we obtain evidence of long memory and fractional integration. The in-sample goodness-of-fit analysis supports the second specification in the majority of cases. An out-of-sample forecasting experiment also suggests that the long-memory model with two fractional differencing parameters is the most adequate one, especially over long horizons.en_US
dc.description.sponsorshipThis study is partly funded by the Ministerio de Ciencia y TecnologĂ­a ECO2011-2014 ECON Y FINANZAS, Spain) and from a Jeronimo de Ayanz project of the Government of Navarra.en_US
dc.language.isoenen_US
dc.publisherBrunel Universityen_US
dc.subjectFederal Funds rateen_US
dc.subjectPersistenceen_US
dc.subjectCyclical behaviouren_US
dc.subjectFractional integrationen_US
dc.titlePersistence and cycles in the US Federal Funds rateen_US
dc.typeArticleen_US
pubs.organisational-data/Brunel-
pubs.organisational-data/Brunel/Brunel Active Staff-
pubs.organisational-data/Brunel/Brunel Active Staff/School of Social Sciences-
pubs.organisational-data/Brunel/Brunel Active Staff/School of Social Sciences/Economics and Finance-
pubs.organisational-data/Brunel/University Research Centres and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups-
pubs.organisational-data/Brunel/University Research Centres and Groups/School of Social Sciences - URCs and Groups/Centre for Empirical Finance-
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Dept of Economics and Finance Research Papers

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